Prediction of Chinese listed companies financing problem with time series structural model

摘要：

　　In recent years, improving the predictive ability of corporate defaults has become an important problem.Regarding characteristics of listed companies in this paper, we put forward time series structural model, and based on that we sampled 100 companies according to industry types, built the prediction model for the return sequences.Finally, we compared the time series structural model based on the predictive default distance of China”s listed companies, and we can see the model has acceptable accuracy in practice.

关键词： Time series structural model Financing problem prediction Chinese listed companies Credit risk

作者: Lu Han

作者单位: First and Corresponding Author school of Management Science and Engineering,Central University of Finance & Economics, Beijing, China,100081

会议类型: 国内会议

会议名称: 第十三届中国不确定系统年会暨第九届中国智能计算大会

会议地点: 长春

会议语种:英文

页码: 26-33

在线出版日期: 2015-07-25（万方平台首次上网日期，不代表论文的发表时间）